Compared with traditional power grid, smart grid has several distinguished features, i.e., distributed energy, large capacity, robust to load fluctuations, and close consumer-grid interactions. Demand response is vital for smart grid, which is expected to save energy, maintain supply-demand balance, and reduce consumers' electricity bills. Meanwhile, it is paramount important to preserve consumers privacy and cyber security in smart grid. To tackle these challenging issues, in this paper, the authors propose an Efficient Demand Response (EDR) scheme which utilizes the homomorphic encryption to achieve privacy preserving demand aggregation and efficient response. Unlike existing schemes, the proposed EDR scheme can also achieve forward secrecy in addition to security features including confidentiality, authenticity and integrity.